An old rumor suggested it was going to be set in Boston and revolve around all the android commotion up there, which would be great, and especially different if it was set in the "Nuclear Winter." Another great setting would be a semi-flooded New Orleans and the surrounding swamps in Louisiana.
I personally don't think it will be at E3, but I hope it is. I mean, that list is almost certainly fake. Red Dead Redemption 2 is more than enough to make me believe it's not real.